no code implementations • 25 Oct 2021 • Asif Lakhany, Amber Zhang
Non-cleared bilateral OTC derivatives between two financial firms or systemically important non-financial entities are subject to regulations that require the posting of initial and variation margin.
no code implementations • 3 Aug 2021 • Asif Lakhany, Andrej Pintar, Amber Zhang
Accurately fitting the term structure of interest rates is critical to central banks and other market participants.
no code implementations • 14 May 2021 • Yuriy Krepkiy, Asif Lakhany, Amber Zhang
We describe a regression-based method, generally referred to as the Least Squares Monte Carlo (LSMC) method, to speed up exposure calculations of a portfolio.